Fuzzy defaultable bonds
From MaRDI portal
Publication:1043261
DOI10.1016/j.fss.2008.12.017zbMath1186.91226MaRDI QIDQ1043261
Elettra Agliardi, Rossella Agliardi
Publication date: 7 December 2009
Published in: Fuzzy Sets and Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.fss.2008.12.017
Related Items
Credit spreads, endogenous bankruptcy and liquidity risk, A reduced-form intensity-based model under fuzzy environments, Introducing fuzziness in CDS pricing under a structural model, A new default probability calculation formula and its application under uncertain environments, Modeling uncertainty in limit order execution, Bond pricing under imprecise information, The total return swap pricing model under fuzzy random environments, Multi-criteria classification for pricing European options
Cites Work
- Unnamed Item
- Unnamed Item
- Fuzzy sets and systems. Theory and applications
- A limit theorem in some dynamic fuzzy systems
- Optimal stopping models in a stochastic and fuzzy environment
- The valuation of European options in uncertain environment
- Term Structures of Credit Spreads with Incomplete Accounting Information
- Fuzzy measures and asset prices: accounting for information ambiguity
- Liquidity and credit risk
- Fuzzy sets
- Separability for graph convergence of sequences of fuzzy-valued random variables